Stability of one-dimensional Parabolic PDE

For a given PDE, let u(x,t) be the solution of finite difference approximation and at the fixed
point (x
0
, t
0
) , let u(x
0
, t
0
) be computed as u(x
0
, t
0
) + due to range of error . The solution is thus
continued for consecutive time levels with u(x
0
, t
0
) + instead of u(x
0
, t
0
) . Thus if at a level
u*(x, t) is the solution then error is : u*(x, t) - u(x, t) which if remain bounded then the scheme is
said to be stable.
There are two approaches for investigating the stability of any finite difference scheme
(1) Matrix Method (2) Neumann Method
The Neumann method has flexibility for using the three time level scheme also which can not be
investigated by Matrix Method. Let us discuss both the methods with reference to the Explicit
Scheme:
(1) Matrix method :
The Explicit scheme can be written as
N --, - 1,2 = i , ) 2 1 (
. . , 1 1 , j i ui j ui j i j i
r r ru u
+ +
+ + =
Let the j
th
level has certain error.Thus the values at given (j+1)
th
level will have some more
error, let the computed value be denoted by u* , thus
) 2 1 ( . . , 1 1 , j i i j i j i j i ru u r ru u +
- -

-
+
-
+ + =
Subtracting equation (2.2) from equation (2.1) we get
N -, - 1,2,- = i , ) 2 1 (
. 1 . . 1 . j i j i j i j i
re e r re e
+
+ + =
Where e
i. j
denotes the error at the (i, j)
th
node and is equal to
j i
j i
u u
.
.
*
Obviously, u
0, j
= u
o
, u
N+1, j
= u
j
on using boundary conditions.
Hence e
0 ,j
= e
N+1,.j
= 0 ; equation (2.3) can be written in the matrix form as:





(2.1)
(2.2)
(2.3)
1,j 1 1,j
2,j 1 2,j
N,j 1 N,j
e e
1 2r r 0 0
e e
r 1 2r r 0
e e
0 r 1 2r
+
+
+
( (
(
( (
(

( (
(
( ( (
=
( (
(


( (
(
( (
(

( (
(
(
( (


(2.4)


j 1 j
or, e A e (2.5)
+
=
1 2r r 0 0
r 1 2r r 0
A
0 r 1 2r

(
(

(
(
=
(

(
(

(
(


Thus for different values of j,we have-
2 k
1 0 2 0 k 0
e A e ,e A e , ,e A e , = = =
The
k
e i.e. propagated error at k
th
time level is depending on the matrix A and
0
e .

Let the matrix A have n linearly independent eigen values
1
,
2,
---,
n
corresponding
eigenvectors v
1
, v
2,
---, v
n
which are all distinct such that A v
i
=
i
v
i

Hence
i i
v c e E =
0

N N N
k k 1 k 1 k
k 0 i i i i i i i i
i 1 i 1 i 1
e A e A cAv A c v c v

= = =
= = = =


which does not increase definitely if
i max
1 i.e. 1 s s
This is the condition for stability of the Explicit Scheme. Now using Brauers theorem ,we can
have for the first row -
( ) 1 2r 2r
or, -r -1 2r r
1-3r 1 r.
s
s + s
s s

For 1 s , right hand inequality gives 0 r 2 s s and left hand inequality gives
2
0 r
3
s s
Applying Braurers theorems for the remaining rows :
(2.6)
(2.7)

( )
1 1
1 2r 2r 0 r thus, r
2 2
s s s s

.








For Crank Nicolson scheme ,the system of equation can be written as :
i 1,j 1 i,j 1 i 1,j 1 i 1,j i,j i 1,j
ru (2 2r)u u ru (2 2r)u ru
+ + + + +
+ + = + +
which in the matrix form is written as: (by substituting i=1,2,---,N)
1,j 1 1,j
2,j 1 2,j
N,j 1 N,j
u u
2 2r r 0 0 2 2r r 0 0
u u
r 2 2r r 0 r 2 2r r 0
u u
0 r 2 2r 0 r 2 2r
+
+
+
+ (
( (
(
( (
+
(
( (
( ( (
=
(
( (


(
( (
(
( (

(
( (
+ ( (
(


j
b
(
(
(
(
+
(
(
(
(
(

Where
j
b is a vector containing known boundary values.
This can be written as :
( ) ( )
N N j 1 N N j j
2I rB u 2I rB u b
+
= + +
( ) ( )
( )
( )
( )
( )
1
N N N N
2
k
2
2
k
2
The iterative matrix A is 2I rB 2I rB
k
2 4rsin
2 N 1
whose eigen values are , k 1,2, ,N.
k
2 4rsin
2 N 1
k
2 4rsin
2 N 1
max max 1 for all r 0
k
2 4rsin
2 N 1

+
= =
t
+
+
t

+
= < >
t
+
+

This C-N scheme is unconditionally convergent.










(2) Neumann Method:
This method is based on the assumption of the solution in the form of separation of variables.
( ) ( )
t i x i x
Let, u x,k e Ae Be
o | |
= +
Avoiding the suffixes i & j and replacing them by m & n resp. The expression for error can be
written as:
( )
m,n 1 m 1,n m,n m 1,n
n t i m x n i m x t
m,n
e re 1 2r e re (1)
Let, e e .e .e ; e (2)
+ +
o A | A | A oA
= + +
= = =

Now for stability 1, s since in that case the error will not be increasing with t.
Substituting relation (2) in equation (1),we get:
( )
( )
n 1 i m x n i (m 1) x n i m x n i (m 1) x
i x i x
2
2
e r e 1 2r e r e
or, re 1 2r re
x
1 4rsin
2
x 1
For stability 1 1 1 4rsin 1 r .
2 2
+ | A | A | A | + A
|A |A
= + +
= + +
|A
=
|A
< s s s